Past exam of the numerical analysis course of the University of Oxford / 2021 / 1 / c

Let $L_{n+1}$ denote the conventional Legendre polynomial, normalized by $L_{n+1}(1)=1$. The $n+1$ quadrature nodes are its distinct polynomial roots in $(-1,1)$. For these nodes form the Lagrange cardinal polynomialsChoose the quadrature weights by integrating these polynomials:An equivalent standard formula isThe reason for selecting these quadrature nodes is the resulting degree of precision of a quadrature rule. For any polynomial $p$ of polynomial degree at most $2n+1$, polynomial division givesThe orthogonality of the Legendre polynomial makes ${\int }_{-1}^1{L}_{n+1}s=0$, while $p(x_i)=r(x_i)$ at each quadrature node. The definition of the quadrature weights integrates $r$ exactly, soIn particular, ${\sum }_i{w}_i=2$. Applying this exactness to ${\ell }_i^2$ also proves $w_i={\int }_{-1}^1{\ell }_i(x{)}^{2}dx>0$.

Truncate the Chebyshev series at the full degree of precision of a quadrature rule:Since $|T_j(x)|\le 1$ on $[-1,1]$, the geometric series estimate givesThe same bound proves uniform convergence of the original Chebyshev series, so its sum and the tail estimate are justified. Gauss-Legendre quadrature is exact on $s_{2n+1}$. Its positive quadrature weights sum to $2$, henceTherefore one explicit choice proving exponential convergence of Gaussian quadrature isUsing exactness through polynomial degree $2n+1$ doubles the exponent compared with truncating at polynomial degree $n$.

Set $W=\mathrm{diag}(w_0,\dots ,w_n)$. For column indices $j,k\in \{1,\dots ,n+1\}$, the product $P_{j-1}{P}_{k-1}$ has polynomial degree at most $2n$, so exactness of Gauss-Legendre quadrature and orthonormality giveThus $Q=W^{1/2}A$ is a square matrix with $Q^{T}Q=I$, and therefore is an orthogonal matrix: $Q{Q}^T=I$ as well. It follows thatEquivalently, the rows of the generalized Vandermonde matrix are orthogonal andThe normalization matters: here $P_{n+1}=\sqrt{(2n+3)/2}{L}_{n+1}$, where $L_{n+1}$ is the conventional Legendre polynomial used above. Thus a formula containing only the nodes and the question's orthonormal polynomials isThis identity is the discrete orthogonality of Gaussian quadrature.